If you want to merge .wmv files like two parts of a movie, I think you can use Windows Movie Maker. You can also merge like .wma and .mp3 files as well I think.
If you want to merge .avi files like two parts of a movie, I suggest using AVI Mux GUI. You can also split .avi files as well. You can also merge/split .mp3 files here, they get turned into .mka but use Super(c) to convert back into .mp3
http://www.alexander-noe.com/video/amg/